63 research outputs found
Spectral properties of the tandem Jackson network, seen as a quasi-birth-and-death process
Quasi-birth-and-death (QBD) processes with infinite ``phase spaces'' can
exhibit unusual and interesting behavior. One of the simplest examples of such
a process is the two-node tandem Jackson network, with the ``phase'' giving the
state of the first queue and the ``level'' giving the state of the second
queue. In this paper, we undertake an extensive analysis of the properties of
this QBD. In particular, we investigate the spectral properties of Neuts's
R-matrix and show that the decay rate of the stationary distribution of the
``level'' process is not always equal to the convergence norm of R. In fact, we
show that we can obtain any decay rate from a certain range by controlling only
the transition structure at level zero, which is independent of R. We also
consider the sequence of tandem queues that is constructed by restricting the
waiting room of the first queue to some finite capacity, and then allowing this
capacity to increase to infinity. We show that the decay rates for the finite
truncations converge to a value, which is not necessarily the decay rate in the
infinite waiting room case. Finally, we show that the probability that the
process hits level n before level 0 given that it starts in level 1 decays at a
rate which is not necessarily the same as the decay rate for the stationary
distribution.Comment: Published at http://dx.doi.org/10.1214/105051604000000477 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
Error bounds for last-column-block-augmented truncations of block-structured Markov chains
This paper discusses the error estimation of the last-column-block-augmented
northwest-corner truncation (LC-block-augmented truncation, for short) of
block-structured Markov chains (BSMCs) in continuous time. We first derive
upper bounds for the absolute difference between the time-averaged functionals
of a BSMC and its LC-block-augmented truncation, under the assumption that the
BSMC satisfies the general -modulated drift condition. We then establish
computable bounds for a special case where the BSMC is exponentially ergodic.
To derive such computable bounds for the general case, we propose a method that
reduces BSMCs to be exponentially ergodic. We also apply the obtained bounds to
level-dependent quasi-birth-and-death processes (LD-QBDs), and discuss the
properties of the bounds through the numerical results on an M/M/ retrial
queue, which is a representative example of LD-QBDs. Finally, we present
computable perturbation bounds for the stationary distribution vectors of
BSMCs.Comment: This version has fixed the bugs for the positions of Figures 1
through
The snowball effect of customer slowdown in critical many-server systems
Customer slowdown describes the phenomenon that a customer's service
requirement increases with experienced delay. In healthcare settings, there is
substantial empirical evidence for slowdown, particularly when a patient's
delay exceeds a certain threshold. For such threshold slowdown situations, we
design and analyze a many-server system that leads to a two-dimensional Markov
process. Analysis of this system leads to insights into the potentially
detrimental effects of slowdown, especially in heavy-traffic conditions. We
quantify the consequences of underprovisioning due to neglecting slowdown,
demonstrate the presence of a subtle bistable system behavior, and discuss in
detail the snowball effect: A delayed customer has an increased service
requirement, causing longer delays for other customers, who in turn due to
slowdown might require longer service times.Comment: 23 pages, 8 figures -- version 3 fixes a typo in an equation. in
Stochastic Models, 201
Simulating and analyzing order book data: The queue-reactive model
Through the analysis of a dataset of ultra high frequency order book updates,
we introduce a model which accommodates the empirical properties of the full
order book together with the stylized facts of lower frequency financial data.
To do so, we split the time interval of interest into periods in which a well
chosen reference price, typically the mid price, remains constant. Within these
periods, we view the limit order book as a Markov queuing system. Indeed, we
assume that the intensities of the order flows only depend on the current state
of the order book. We establish the limiting behavior of this model and
estimate its parameters from market data. Then, in order to design a relevant
model for the whole period of interest, we use a stochastic mechanism that
allows for switches from one period of constant reference price to another.
Beyond enabling to reproduce accurately the behavior of market data, we show
that our framework can be very useful for practitioners, notably as a market
simulator or as a tool for the transaction cost analysis of complex trading
algorithms
A Fluid Limit for an Overloaded X Model Via a Stochastic Averaging Principle
We prove a many-server heavy-traffic fluid limit for an overloaded Markovian
queueing system having two customer classes and two service pools, known in the
call-center literature as the X model. The system uses the
fixed-queue-ratio-with-thresholds (FQR-T) control, which we proposed in a
recent paper as a way for one service system to help another in face of an
unexpected overload. Under FQR-T, customers are served by their own service
pool until a threshold is exceeded. Then, one-way sharing is activated with
customers from one class allowed to be served in both pools. After the control
is activated, it aims to keep the two queues at a pre-specified fixed ratio.
For large systems that fixed ratio is achieved approximately. For the fluid
limit, or FWLLN, we consider a sequence of properly scaled X models in overload
operating under FQR-T. Our proof of the FWLLN follows the compactness approach,
i.e., we show that the sequence of scaled processes is tight, and then show
that all converging subsequences have the specified limit. The characterization
step is complicated because the queue-difference processes, which determine the
customer-server assignments, remain stochastically bounded, and need to be
considered without spatial scaling. Asymptotically, these queue-difference
processes operate in a faster time scale than the fluid-scaled processes. In
the limit, due to a separation of time scales, the driving processes converge
to a time-dependent steady state (or local average) of a time-varying
fast-time-scale process (FTSP). This averaging principle (AP) allows us to
replace the driving processes with the long-run average behavior of the FTSP.Comment: There are 55 pages, 46 references and 0 figure
Unreliable Retrial Queues in a Random Environment
This dissertation investigates stability conditions and approximate steady-state performance measures for unreliable, single-server retrial queues operating in a randomly evolving environment. In such systems, arriving customers that find the server busy or failed join a retrial queue from which they attempt to regain access to the server at random intervals. Such models are useful for the performance evaluation of communications and computer networks which are characterized by time-varying arrival, service and failure rates. To model this time-varying behavior, we study systems whose parameters are modulated by a finite Markov process. Two distinct cases are analyzed. The first considers systems with Markov-modulated arrival, service, retrial, failure and repair rates assuming all interevent and service times are exponentially distributed. The joint process of the orbit size, environment state, and server status is shown to be a tri-layered, level-dependent quasi-birth-and-death (LDQBD) process, and we provide a necessary and sufficient condition for the positive recurrence of LDQBDs using classical techniques. Moreover, we apply efficient numerical algorithms, designed to exploit the matrix-geometric structure of the model, to compute the approximate steady-state orbit size distribution and mean congestion and delay measures. The second case assumes that customers bring generally distributed service requirements while all other processes are identical to the first case. We show that the joint process of orbit size, environment state and server status is a level-dependent, M/G/1-type stochastic process. By employing regenerative theory, and exploiting the M/G/1-type structure, we derive a necessary and sufficient condition for stability of the system. Finally, for the exponential model, we illustrate how the main results may be used to simultaneously select mean time customers spend in orbit, subject to bound and stability constraints
Zero-automatic queues and product form
We introduce and study a new model: 0-automatic queues. Roughly, 0-automatic
queues are characterized by a special buffering mechanism evolving like a
random walk on some infinite group or monoid. The salient result is that all
stable 0-automatic queues have a product form stationary distribution and a
Poisson output process. When considering the two simplest and extremal cases of
0-automatic queues, we recover the simple M/M/1 queue, and Gelenbe's G-queue
with positive and negative customers
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